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Financial risk measurement for financial risk management

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2012

Persistent link: https://www.econbiz.de/10009553634

Realized return volatility, asset pricing, and risk management

Andersen, Torben; Bollerslev, Tim - In: NBER reporter online (2006/2007) 3, pp. 7-10

Persistent link: https://www.econbiz.de/10011366975

Volatility

Andersen, Torben (ed.); Bollerslev, Tim (ed.) - 2018

Recommended readings (Machine generated): 1.FischerBlack(1976),'StudiesofStockPriceVolatilityChanges',Proceedingsofthe1976MeetingsoftheAmericanStatisticalAssociation,BusinessandEconomicStatisticsSection,177-81 -- 2. Robert F. Engle (1982), 'Autoregressive Conditional Heteroscedasticity with...

Persistent link: https://www.econbiz.de/10012251697

Realized Beta: Persistence and Predictability

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometric analysis of financial and economic time series, (pp. 1-39). 2006

A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...

Persistent link: https://www.econbiz.de/10015385505